Connect Power BI with external network MSSQL

Does external network mean a network  different from your company? or you're trying to connect to your company's server outside the company network? If the latter, you will normally need a vpn.

I once worked on a project connecting to an Azure on-prem setup. IT provided the connection strings and credentials, but access only worked when connected to the company network via VPN. It’s unlikely any company would allow their on-prem data to be accessed externally without secure measures, even if you have the credentials. Better to be safe than sorry.